The linker needs to know where the libraries are -- for Dev-C++ you would go to Tools -> Compiler Options and, in the linker box, make sure you see "-lopengl32 -lgdi32 -lglu32" and if you use GLUT, you would probably need "-lglut32" as well.

If you have this in a project, there's a way to change these settings for the project (rather than forever, which is what I have above), but I don't remember that off the top of my head.